Make double sure that the shoe (both on camera and on flash) are pushed in all the way. It's not uncommon for it to be a tight fit and you have to push it in all the way for the contacts to be in the right place. It's also not uncommon for these cords to malfunction, so it's possible that you got a bum cord. Make sure that it's not user error, then take/send it back and get a new one.

I purchased a generic cord, General Brand I think, that worked fine for about 6 months before it just crapped out. Checked contacts, wiring, etc to no avail. For $12 shipped, I could not complain that much though. Bought the Canon model a couple of weeks ago for $80, but it is built much better.